Technical Documents of RiskMertics

Market Risk

Return to RiskMetrics is an update and supplement to the 1996
RiskMetrics Technical Document, reflecting the wider range of measurement
techniques and statistics now part of best practice. It provides comprehensive
coverage of Monte Carlo and historical simulation, the treatment of non-linear
exposures, stress testing, and asset-management oriented risk reporting.

A non-technical introduction to risk management, addressing the basic issues
risk managers face when implementing a firm-wide risk management process. The
Practical Guide includes a number of reports and other examples drawn from
our work with a wide range of practitioners.

The CorporateMetrics Technical Document describes RiskMetrics'
approach to measuring and managing market risk in the corporate environment. It
addresses the particular needs of non-financial corporations, such as the
measurement of earnings and cash-flow risk over a horizon of several years and
regulatory disclosure of derivatives transactions.

This edition of the RiskMetrics Technical Document was prepared while
RiskMetrics was still a part of J.P. Morgan. It remains a much-cited classic in
the field, and provides a clear introduction to the basics of computing and
using Value-at-Risk.

Credit Risk

CreditGrades provides firm-specific estimates of the term structure of
default probabilities. The CreditGrades Technical Document describes the
model and data inputs. It also presents statistical and case studies that
document the model's accuracy and usefulness in risk measurement and trading.

The CreditMetrics Technical Document describes a now-standard
framework for quantifying credit risk, the risk of economic loss due to default
or change in credit quality, in portfolios of default-risky assets. The approach
addresses traditional credit products such as loans, commitments to lend, and
financial letters of credit, fixed income securities, as well as market-driven
instruments subject to counterparty default, such as swaps, forwards, and credit
derivatives.

Wealth Management

RiskMetrics Group provides a set of portfolio risk analysis tools for
individual investors, such as RiskGrades, stress testing, and risk-return
optimization, at
www.riskgrades.com. The RiskGrades Technical Document describes the approach
and the computations behind the tools.